Business cycle analysis and VARMA models

DOI10.1016/j.jedc.2008.05.006zbMath1173.62064MaRDI QIDQ2271626

Christian Kascha, Karel Mertens

Publication date: 7 August 2009

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1814/6450

zbMATH Keywords

business cycles; state space models; structural VARs; VARMA

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

65C05: Monte Carlo methods

91B84: Economic time series analysis

Related Items

Forecasting linear dynamical systems using subspace methods

Cites Work

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